Thanks Ruhollah, that is very helpful:<br><div class="gmail_quote"><blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex;">
<div>First of all, if you are insisted to use windows, why do not use cygwin or mingw, ipopt works well under these shells, and also there are some trick to use precompiled libraries them into MSVC projects (just notice that using cygwin has performance penalty, in my case ~ 50% slower). Also notice that under windows you do not have chance of using Pardiso, as there is neither any cygwin/mingw version nor native windows complers like MSVC/intel. It seems that tis developper do not attend to it (i personally send couple of request for it, but without at least any response ;) )</div>
<div></div></blockquote><div><br></div><span class="Apple-style-span" style="white-space: pre-wrap; -webkit-border-horizontal-spacing: 2px; -webkit-border-vertical-spacing: 2px; "><div class="gmail_quote">0) Since you opened the can of worms, I am going to ask a whole bunch of somewhat unrelated - and likely ignorant - questions!</div>
<div class="gmail_quote"><br></div>1) In my mind, I am separating the compilation of libraries from the user of the libraries. If I can link to the compiled libraries on windows from the intel C++ compiler, then I don't really care how it is built. I would prefer not to have to use the cygwin.dll, but that is a small price to pay (well... maybe 50% overhead is a large price if it is uniformly that bad)
2) My knowledge of this stuff is a little shaky, but I have been staying away from cygwin or MinGW because of the use the GNU compiler. My understanding is that the binary static libraries generated by cygwin are not compatible with linking into Intel/MSVC applications on windows. Note that I am using Intel for both the optimizing compiler and the tuned MKL. If I am mistaken and I can link cygwin generated .a files into normal intel C++ project, then please tell me how? This would really make my life easier in many many ways... </span></div>
<div class="gmail_quote"><span class="Apple-style-span" style="white-space: pre-wrap; -webkit-border-horizontal-spacing: 2px; -webkit-border-vertical-spacing: 2px;"><br></span></div><div class="gmail_quote"><span class="Apple-style-span" style="white-space: pre-wrap; -webkit-border-horizontal-spacing: 2px; -webkit-border-vertical-spacing: 2px; ">3) The other problem I have with cygwin, etc. is that I can't figure out how you control which runtime library it links to. I need to make "debug builds" of the libraries that link to the debug runtime libraries (building /MD and /MDd on windows compilers). I don't necessarily need the libraries I am building to have debug info themselves, but without this I will get symbol clashes when linking the library in my own debug build.
</span><div><span class="Apple-style-span" style="white-space: pre-wrap; -webkit-border-horizontal-spacing: 2px; -webkit-border-vertical-spacing: 2px; ">4) I was under the impression that I could get MSYS to work with the intel compiler and generate proper .lib files for windows, but I am not sure exactly how to do this.</span> This might have been another strategy.</div>
<div><br></div><div>5) Intel MKL, which comes with the Intel C++ and Fortran Compiler, has a binary of Paradiso for all of its platforms. It also has a tuned BLAS, BLACS, LAPACK, ScaLAPACK, etc. that I want to use on all platforms. It is on the clusters I am interested in and even free for academic use on Linux desktop. My understanding is that Paradiso may be a little behind the versions, but I assume it will eventually work with IPOPT.</div>
<blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex;"><div> </div>
<div>2 your question is ambigious for me, but take a look at this page (i may helps), "sintef": <a href="http://www.sintef.no/Home/Information-and-Communication-Technology-ICT/Applied-Mathematics/Research-Areas/Geometry/Software/" target="_blank">http://www.sintef.no/Home/Information-and-Communication-Technology-ICT/Applied-Mathematics/Research-Areas/Geometry/Software/</a></div>
<div> </div>
<div>3 regarding to qudrature i do not understand your enquiry well, but to my understanding, "Deal II" library is an OOP FEM library with arbitrary order quadrature on logically rectangular (hypercube) grid (support qudtree/octree refinement), Also FEniCS project (<a href="http://www.fenics.org/wiki/FEniCS_Project" target="_blank">http://www.fenics.org/wiki/FEniCS_Project</a>) provide an automatic variational compiler and of course support qudrature integration (support only *affine* mappings). Both of these not easy to use with native win, but easy with cygwin.</div>
<div></div></blockquote><div>The links are great, thanks. Since I am not working with PDEs or in the geometry world, I haven't been looking in the right places. For quadrature, we end up with a lot of integrals over stochastic noise in economics (which would be in the objective function I use with IPOPT), so I was thinking about a library that does multi-dimensional versions of <a href="http://en.wikipedia.org/wiki/Gauss%E2%80%93Hermite_quadrature">http://en.wikipedia.org/wiki/Gauss–Hermite_quadrature </a> etc.</div>
<div><br></div><div> Thanks again everyone.</div></div>